Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 9 8 8
Score 4.64 3.72 4.29
Market Cap (Millions USD) NA NA NA
Predicted Beta 3.14 3.11 3.03
Idiosyncratic Volatility 1.52 1.88 1.95

Annualized return and volatility

VFIAX
Annualized Return 0.0658
Annualized Std Dev 0.1857
Annualized Sharpe (Rf=0%) 0.3542

Row

Daily Return Statistics

VFIAX
Observations 4890.0000
NAs 224.0000
Minimum -0.0901
Quartile 1 -0.0042
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.1157
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0117
Skewness -0.0387
Kurtosis 9.5493

Downside Risk

VFIAX
Semi Deviation 0.0084
Gain Deviation 0.0085
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.5520
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0283
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0234
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-04-02 -0.5520 1148 364 784
2000-11-16 2002-10-09 2006-01-06 -0.4338 1313 481 832
2018-09-21 2018-12-24 2019-04-12 -0.1938 142 66 76
2015-07-21 2016-02-11 2016-04-18 -0.1299 191 146 45
2018-01-29 2018-02-08 2018-08-06 -0.1010 134 9 125

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec VFIAX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA 0.0 0 0.0
2001 0.6 0.1 0.0 1.4 0.4 0.0 0.4 0.0 -0.2 2.3 0.0 0 5.0
2002 -0.7 2.3 -0.1 0.9 0.0 -2.1 -2.9 0.0 4.0 1.7 0.0 0 2.9
2003 0.0 0.0 1.3 -0.1 0.0 0.8 -1.0 0.0 2.2 0.0 1.1 0 4.4
2004 0.0 1.0 0.5 0.0 0.0 -1.0 0.0 0.2 1.5 0.0 1.5 0 3.8
2005 0.7 0.6 -0.7 0.0 0.9 0.3 0.1 0.1 0.0 -0.4 1.2 0 2.9
2006 0.2 0.8 0.0 -0.4 1.2 0.0 -0.5 0.6 0.0 -0.7 -0.3 0 1.0
2007 0.6 -0.3 0.0 0.3 0.4 0.0 0.7 0.0 1.3 -2.6 0.0 0 0.3
2008 1.2 0.0 3.6 1.7 0.0 0.4 -0.6 0.0 -0.4 0.0 -8.9 0 -3.4
2009 0.0 0.0 1.7 0.5 2.6 0.4 0.0 -2.2 -2.6 0.0 1.2 0 1.5
2010 1.4 1.0 0.8 0.0 -1.7 -0.3 0.0 3.0 0.4 0.1 2.2 0 7.0
2011 1.7 -1.6 0.5 0.0 -2.3 1.4 -0.4 -1.2 0.0 -2.8 -0.2 0 -4.8
2012 0.9 0.6 0.0 0.6 -2.5 0.0 -0.3 0.0 0.3 1.1 0.0 0 0.7
2013 1.0 0.2 -0.4 -0.9 0.0 0.6 1.3 0.0 0.8 0.3 0.0 0 2.8
2014 0.0 0.0 0.7 0.0 0.0 0.7 -0.3 0.0 -1.3 0.0 -0.7 0 -0.9
2015 0.0 0.0 -0.4 1.1 0.2 0.7 0.0 -3.0 0.2 0.0 1.1 0 -0.1
2016 0.0 2.4 0.6 0.0 0.1 0.2 -0.1 0.0 0.0 -0.7 -0.3 0 2.2
2017 0.1 1.4 0.0 0.2 0.8 0.0 0.2 0.2 0.0 0.2 -0.2 0 2.8
2018 0.0 -1.3 0.0 0.3 1.1 0.0 -0.1 0.0 0.4 1.1 0.0 0 1.3
2019 0.1 0.7 1.2 -0.7 0.0 0.8 -0.9 0.0 -1.2 1.0 0.0 0 0.8

Row

Rolling Performance Chart

Snail Trail Chart